<p>
The implementation of TSMOM-CF in the post-GFC period, January 2018 to September 2019, shows significant performance improvement over the basic TSMOM. The backtest of TSMOM-CF produces Sharpe ratio of 0.321, compared to TSMOM's Sharpe ratio of -0.746 and SPY Sharpe ratio of 0.46. The exact TSMOM algorithm can be found in the <a href="https://www.quantconnect.com/tutorials/strategy-library/momentum-effect-in-commodities-futures">strategy library</a>. 
</p>